This research examines the correlations between return volatility of cryptocurrencies, global stock market indices, and spillover effects COVID-19 pandemic. For this purpose, we employed a two-stage multivariate exponential GARCH (EGARCH) model with an integrated dynamic conditional correlation (DCC) approach to measure impact on financial portfolio returns from 2019 2020. Moreover, used value-...

This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications, the inference methods, and identifies likely directions of future research.

In this paper, we examine various characteristics of both base and peak electricity spot prices their returns, investigate dependence structures, extreme co-movements, risk spillovers, integration relationships among the five major European markets, including France, Germany, Netherlands, Spain, UK. To do so, propose a new perspective by applying hybrid ARMA-GARCH, static dynamic copulas, state...

This paper proposes volatility and spectral based methods for cluster analysis of stock returns. Using the information about both the estimated parameters in the threshold GARCH (or TGARCH) equation and the periodogram of the squared returns, we compute a distance matrix for the stock returns. Clusters are formed by looking to the hierarchical structure tree (or dendrogram) and the computed pri...

We investigate a solution for the problems related to application of multivariate GARCH models markets with large number stocks by restricting form conditional covariance matrix. The model is factor and uses only six free parameters. One can be interpreted as market component, remaining factors are equal. This allow analytical calculation inverse time-dependence enables determination dynamical ...

During the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. We provide an empirical comparison of alternative MGARCH models, namely BEKK, DCC, Corrected DCC (cDCC), CCC, OGARCH Exponentially Weighted Moving Average, and covariance shrinkin...